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| 我国资产价格"货币现象"的实证分析 | |
| 引用本文： | 吴奉刚,杜兆瑜. 我国资产价格"货币现象"的实证分析[J]. 金陵法律评论, 2010, 0(2) |
| 作者姓名： | 吴奉刚 杜兆瑜 |
| 作者单位： | 山东经济学院财政金融学院;山东经济学院金融学院; |
| 摘 要： | 借鉴弗里德曼的经典观点,可将货币数量影响资产价格波动的现象称为货币现象。在此基础上综合运用Granger因果检验、Johansen协整和脉冲响应函数等方法,对M/GDP影响房屋销售价格指数和上证综指进行了实证分析。结果显示,超额货币是房地产价格的Granger原因,且二者存在协整关系,超额货币对于推动房地产价格的上涨发挥了重要作用,表明我国房市存在货币现象。从股市来看,长期的货币现象并不存在,但自2006年第4季度以来超额货币存量与股指的相关性显著增强。 |
| 关 键 词： | 资产价格 货币现象 VAR模型 |
An Empirical Analysis of the "Monetary Phenomenon" of Asset Prices in China |
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| WU Feng-gang,DU Zhao-yu. An Empirical Analysis of the "Monetary Phenomenon" of Asset Prices in China[J]. Journal of Nanjing Normal University (Social Science Edition), 2010, 0(2) | |
| Authors: | WU Feng-gang DU Zhao-yu |
| Affiliation: | WU Feng-gang,DU Zhao-yu |
| Abstract: | According to Friedman's classic viewpoint,we define the phenomenon that excess money affects asset price volatility as monetary phenomenon.Using such methods as the Granger causality test,Johansen cointegration and the impulse response function,an empirical analysis of M/GDP's influence on the real-estate prices and the Shanghai Composite Index shows that: the excess money is the Granger cause of real estate prices;there is a cointegration relationship between them;and the excess money plays a key role in p... |
| Keywords: | asset prices monetary phenomenon VAR model |
| 本文献已被 CNKI 万方数据 等数据库收录！ | |